發(fā)布時(shí)間：2018-02-24 15:12

  本文關(guān)鍵詞： 熔斷機(jī)制 A股 公告效應(yīng) 不同市值　出處：《哈爾濱工業(yè)大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：2015年我國(guó)A股市場(chǎng)波動(dòng)劇烈,經(jīng)歷牛熊轉(zhuǎn)換,市場(chǎng)哀鴻遍野。為減少股災(zāi)的發(fā)生,穩(wěn)定金融市場(chǎng),證監(jiān)會(huì)于2016年初實(shí)施熔斷機(jī)制,然而僅經(jīng)過(guò)4日便宣告失敗,草草結(jié)束。雖然熔斷機(jī)制實(shí)施時(shí)間短暫,卻對(duì)我國(guó)A股市場(chǎng)造成了巨大影響。熔斷機(jī)制實(shí)施之前市場(chǎng)是否已經(jīng)存在反應(yīng)?實(shí)施之后又對(duì)市場(chǎng)具體造成何種影響?鑒于目前關(guān)于熔斷機(jī)制對(duì)股市的影響仍存在爭(zhēng)議,本文對(duì)這些問(wèn)題進(jìn)行實(shí)證分析,一方面為金融市場(chǎng)管理部門(mén)和相關(guān)政策制定者提供了借鑒依據(jù),另一方面,促進(jìn)投資者理性認(rèn)識(shí)熔斷機(jī)制,減少因恐慌而導(dǎo)致的盲目交易。本文選取2015年12月28日至2016年1月7日的滬深300指數(shù)五分鐘高頻數(shù)據(jù)和2015年3月13日至2016年1月7日的滬深300指數(shù)成分股的日漲跌幅數(shù)據(jù),在掌握相關(guān)知識(shí)的基礎(chǔ)上,采用非參數(shù)分析法、EGARCH模型和事件研究法分析熔斷機(jī)制對(duì)我國(guó)A股市場(chǎng)波動(dòng)的影響,并且進(jìn)一步分析了熔斷機(jī)制的公告效應(yīng)對(duì)股市波動(dòng)影響和熔斷機(jī)制對(duì)不同市值股票波動(dòng)的影響,研究結(jié)果表明:我國(guó)熔斷機(jī)制造成了股市的巨大波動(dòng),熔斷機(jī)制的公告效應(yīng)導(dǎo)致了股市收益的負(fù)向波動(dòng),熔斷機(jī)制對(duì)不同市值的股票波動(dòng)影響程度不同,股票市值越小,影響越大。本文對(duì)我國(guó)熔斷機(jī)制的再次實(shí)施具有借鑒和指導(dǎo)意義。尤其關(guān)于熔斷機(jī)制公告效應(yīng)的研究結(jié)果說(shuō)明市場(chǎng)提前對(duì)相關(guān)政策的實(shí)施做出了反應(yīng),相關(guān)管理部門(mén)應(yīng)及時(shí)利用這一信息對(duì)市場(chǎng)情緒做出判斷并采取相應(yīng)措施。此外,熔斷機(jī)制對(duì)不同市值股票波動(dòng)影響不同,也為熔斷閾值的設(shè)置提供了參考,相關(guān)部門(mén)對(duì)于政策的制定應(yīng)該進(jìn)行更周全的考慮。
[Abstract]:In 2015, the A share market of our country fluctuated violently, experienced the transition of the bull and bear, and the market was full of grief. In order to reduce the occurrence of the stock market and stabilize the financial market, the CSRC implemented the melting break mechanism on early 2016, but it failed only after 4th. Although the implementation of the fusing mechanism is short, it has had a great impact on the A-share market of China. Has there been any reaction in the market before the implementation of the fusing mechanism? What is the specific impact on the market after implementation? In view of the current controversy about the impact of the melting off mechanism on the stock market, this paper makes an empirical analysis of these problems. On the one hand, it provides a reference for financial market management departments and relevant policy makers, on the other hand, Promote investors' rational understanding of the fuse mechanism, To reduce the blind trading caused by panic. This paper selects the five minute high frequency data of the CSI 300 index from December 28th 2015 to January 7th 2016 and the daily rise and fall data of the CSI 300 index from March 13th 2015 to March 13th 2015. On the basis of mastering the relevant knowledge, the non-parametric analysis method (EGARCH model) and the event research method are used to analyze the influence of the melting mechanism on the volatility of A-share market in China. Furthermore, the influence of the announcement effect of the melting break mechanism on the stock market volatility and the influence of the melting break mechanism on the volatility of different market value stocks are analyzed. The results show that the melting break mechanism of our country has caused the huge volatility of the stock market. The announcement effect of the melting break mechanism leads to the negative fluctuation of stock market income. The degree of influence of the melting break mechanism on the stock fluctuation of different market value is different, and the smaller the stock market value is, The greater the impact is, the more important this paper is for the re-implementation of the melting break mechanism in China. Especially, the research results on the announcement effect of the melting break mechanism show that the market has responded to the implementation of the relevant policies in advance. The relevant management departments should use this information to judge the market sentiment and take appropriate measures. In addition, the melting break mechanism has different effects on the volatility of different market value stocks, which also provides a reference for the setting of melting threshold. Relevant departments should consider policy making more carefully.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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